The Chronicles of Narnia are a great series! The stories are very engaging and also integrate good morals.
There are also some old school ones mystery series that I loved growing up: Nancy Drew, The Hardy Boys, The Boxcar Children, Encyclopedia Brown. These are all great for teaching problem-solving skills... you can make a game out of trying to "solve the mystery" before the main characters.
The Alice & Wonderland series has good imagery and is great for the imagination. It's been a while since I've read them though - they may be more appropriate for kids that are a little older.